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Estimate nothing
(Taylor & FrancisQuantitative Finance, 2014)
In the econometrics of financial time series, it is customary to take some parametric model for the data, and then estimate the parameters from historical data. This approach suffers from several problems. Firstly, how is ...
Investing and stopping
(Applied Probability TrustJournal of Applied Probability, 2014)
In this paper we solve the hedge fund manager’s optimization problem in a model that allows for investors to enter and leave the fund over time depending on its performance. The manager’s payoff at the end of the year will ...
Trading to stops
(Society for Industrial and Applied MathematicsSiam Journal on Financial Mathematics, 2014-12-16)
The use of trading stops is a common practice in financial markets for a variety of reasons: it reduces the frequency of trading and thereby transaction costs; it provides a simple way to control losses on a given trade, ...